Ji Hyung Lee
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Ji Hyung |
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Lee |
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Contact
Affiliations
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University of Illinois at Urbana-Champaign
/ Department of Economics
Research profile
author of:
- On LASSO for Predictive Regression
Papers, arXiv.org (2018)
by Ji Hyung Lee & Zhentao Shi & Zhan Gao
(ReDIF-paper, arx:papers:1810.03140) - Complete Subset Averaging for Quantile Regressions
Papers, arXiv.org (2020)
by Ji Hyung Lee & Youngki Shin
(ReDIF-paper, arx:papers:2003.03299) - Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach
Papers, arXiv.org (2021)
by Rui Fan & Ji Hyung Lee & Youngki Shin
(ReDIF-paper, arx:papers:2101.11568) - Fixed-k Tail Regression: New Evidence on Tax and Wealth Inequality from Forbes 400
Papers, arXiv.org (2021)
by Ji Hyung Lee & Yuya Sasaki & Alexis Akira Toda & Yulong Wang
(ReDIF-paper, arx:papers:2105.10007) - Tuning Parameter-Free Nonparametric Density Estimation from Tabulated Summary Data
Papers, arXiv.org (2022)
by Ji Hyung Lee & Yuya Sasaki & Alexis Akira Toda & Yulong Wang
(ReDIF-paper, arx:papers:2204.05480) - Capital and Labor Income Pareto Exponents in the United States, 1916-2019
Papers, arXiv.org (2022)
by Ji Hyung Lee & Yuya Sasaki & Alexis Akira Toda & Yulong Wang
(ReDIF-paper, arx:papers:2206.04257) - Econometric Inference for High Dimensional Predictive Regressions
Papers, arXiv.org (2024)
by Zhan Gao & Ji Hyung Lee & Ziwei Mei & Zhentao Shi
(ReDIF-paper, arx:papers:2409.10030) - Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach
Papers, arXiv.org (2024)
by Hongqi Chen & Ji Hyung Lee
(ReDIF-paper, arx:papers:2410.15097) - On Standard Inference For Gmm With Local Identification Failure Of Known Forms
Econometric Theory, Cambridge University Press (2018)
by Lee, Ji Hyung & Liao, Zhipeng
(ReDIF-article, cup:etheor:v:34:y:2018:i:04:p:790-814_00) - Quantilograms Under Strong Dependence
Econometric Theory, Cambridge University Press (2020)
by Lee, Ji Hyung & Linton, Oliver & Whang, Yoon-Jae
(ReDIF-article, cup:etheor:v:36:y:2020:i:3:p:457-487_4) - Complete Subset Averaging For Quantile Regressions
Econometric Theory, Cambridge University Press (2023)
by Lee, Ji Hyung & Shin, Youngki
(ReDIF-article, cup:etheor:v:39:y:2023:i:1:p:146-188_5) - VARs with Mixed Roots Near Unity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012)
by Peter C.B. Phillips & Ji Hyung Lee
(ReDIF-paper, cwl:cwldpp:1845) - Predictive regression under various degrees of persistence and robust long-horizon regression
Journal of Econometrics, Elsevier (2013)
by Phillips, Peter C.B. & Lee, Ji Hyung
(ReDIF-article, eee:econom:v:177:y:2013:i:2:p:250-264) - Predictive quantile regression with persistent covariates: IVX-QR approach
Journal of Econometrics, Elsevier (2016)
by Lee, Ji Hyung
(ReDIF-article, eee:econom:v:192:y:2016:i:1:p:105-118) - Robust econometric inference with mixed integrated and mildly explosive regressors
Journal of Econometrics, Elsevier (2016)
by Phillips, Peter C.B. & Lee, Ji Hyung
(ReDIF-article, eee:econom:v:192:y:2016:i:2:p:433-450) - Predictive quantile regressions under persistence and conditional heteroskedasticity
Journal of Econometrics, Elsevier (2019)
by Fan, Rui & Lee, Ji Hyung
(ReDIF-article, eee:econom:v:213:y:2019:i:1:p:261-280) - On LASSO for predictive regression
Journal of Econometrics, Elsevier (2022)
by Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan
(ReDIF-article, eee:econom:v:229:y:2022:i:2:p:322-349) - Nonparametric identification and estimation of the extended Roy model
Journal of Econometrics, Elsevier (2023)
by Lee, Ji Hyung & Park, Byoung G.
(ReDIF-article, eee:econom:v:235:y:2023:i:2:p:1087-1113) - Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach
Journal of Econometrics, Elsevier (2023)
by Fan, Rui & Lee, Ji Hyung & Shin, Youngki
(ReDIF-article, eee:econom:v:237:y:2023:i:2:s0304407622002111) - Tuning parameter-free nonparametric density estimation from tabulated summary data
Journal of Econometrics, Elsevier (2024)
by Lee, Ji Hyung & Sasaki, Yuya & Toda, Alexis Akira & Wang, Yulong
(ReDIF-article, eee:econom:v:238:y:2024:i:1:s0304407623002841) - Asset pricing with financial bubble risk
Journal of Empirical Finance, Elsevier (2016)
by Lee, Ji Hyung & Phillips, Peter C.B.
(ReDIF-article, eee:empfin:v:38:y:2016:i:pb:p:590-622) - Martingale decomposition and approximations for nonlinearly dependent processes
Statistics & Probability Letters, Elsevier (2019)
by Lee, Ji Hyung
(ReDIF-article, eee:stapro:v:152:y:2019:i:c:p:35-42) - Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance
Advances in Econometrics, Emerald Group Publishing Limited (2023)
by Whayoung Jung & Ji Hyung Lee
(ReDIF-chapter, eme:aecozz:s0731-90532023000045b004) - Heterogeneity in Household Inflation Expectations: Policy Implications
Research Working Paper, Federal Reserve Bank of Kansas City (2024)
by Taeyoung Doh & JiHyung Lee & Woong Yong Park
(ReDIF-paper, fip:fedkrw:98545) - Complete Subset Averaging for Quantile Regressions
Department of Economics Working Papers, McMaster University (2020)
by Ji Hyung Lee & Youngki Shin
(ReDIF-paper, mcm:deptwp:2020-03) - Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics
Journal of Financial Econometrics, Oxford University Press (2024)
by Heejoon Han & Whayoung Jung & Ji Hyung Lee
(ReDIF-article, oup:jfinec:v:22:y:2024:i:1:p:1-29.) - Predictive quantile regression with persistent covariates: IVX-QR approach
MPRA Paper, University Library of Munich, Germany (2015)
by Lee, JiHyung
(ReDIF-paper, pra:mprapa:65150) - Quantilograms under Strong Dependence
Working Paper Series, Institute of Economic Research, Seoul National University (2018)
by Ji Hyung Lee & Oliver Linton & YOON-JAE WHANG
(ReDIF-paper, snu:ioerwp:no111) - Limit Theory for VARs with Mixed Roots Near Unity
Econometric Reviews, Taylor & Francis Journals (2015)
by Peter C. B. Phillips & Ji Hyung Lee
(ReDIF-article, taf:emetrv:v:34:y:2015:i:6-10:p:1035-1056)